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Washington (CNN)Nevada Gov. Brian Sandoval, a Republican, said Wednesday President Donald Trump's proposal to build a US-Mexico wall isn't one of his top priorities.

"On my list of things to get done, that wouldn't be one of them," he said when asked about the proposed wall during the National Governor's Association State of the States event in Washington.

Sandoval, who serves as the group's vice chairman, added: "I've always believed in gates versus fences and having a good immigration policy. I just think there are other things that we need to focus our time and energy on."

Trump, seeking to make progress on a campaign promise, took executive action Wednesday to create a wall along the Mexican border.

Virginia Gov. Terry McAuliffe, a Democrat who serves as the NGA's chairman, said despite Trump's assertions, he doesn't believe Mexico will pay for the wall.

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"Building what could potentially be a $20 billion wall is not an immigration policy," he said, adding: "I am somewhat concerned about the rhetoric that has come out. Mexico is not paying for the wall."

McAuliffe did say he wishes the new administration success.

"It's critical for our nation," the former Democratic National Committee chairman said.